The best data I’ve come across thus far I compiled in a blog post here (check out the table about 3/4 of the way down):
http://crowdwise.org/data-analysis/equity-crowdfunding-returns/
AngelList has a data science team that has posted a lot of data. And Cambridge Associates publishes a lot of data on the VC industry.
Unfortunately, it’s still a little too early to have a significant number of data points for Reg CF.